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bug #843: fix jacobisvd for complexes and extend respective unit test to chack with random tricky matrices,

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and backport other JacobiSVD fixes
This commit is contained in:
Gael Guennebaud
2014-07-17 17:09:15 +02:00
parent e215740e8e
commit 9b00035438
2 changed files with 86 additions and 28 deletions
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26
Eigen/src/SVD/JacobiSVD.h
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@@ -375,17 +375,19 @@ struct svd_precondition_2x2_block_to_be_real<MatrixType, QRPreconditioner, true>
Scalar z;
JacobiRotation<Scalar> rot;
RealScalar n = sqrt(numext::abs2(work_matrix.coeff(p,p)) + numext::abs2(work_matrix.coeff(q,p)));
if(n==0)
{
z = abs(work_matrix.coeff(p,q)) / work_matrix.coeff(p,q);
work_matrix.row(p) *= z;
if(svd.computeU()) svd.m_matrixU.col(p) *= conj(z);
if(work_matrix.coeff(q,q)!=Scalar(0))
{
z = abs(work_matrix.coeff(q,q)) / work_matrix.coeff(q,q);
else
z = Scalar(0);
work_matrix.row(q) *= z;
if(svd.computeU()) svd.m_matrixU.col(q) *= conj(z);
work_matrix.row(q) *= z;
if(svd.computeU()) svd.m_matrixU.col(q) *= conj(z);
}
// otherwise the second row is already zero, so we have nothing to do.
}
else
{
@@ -415,6 +417,7 @@ void real_2x2_jacobi_svd(const MatrixType& matrix, Index p, Index q,
JacobiRotation<RealScalar> *j_right)
{
using std::sqrt;
using std::abs;
Matrix<RealScalar,2,2> m;
m << numext::real(matrix.coeff(p,p)), numext::real(matrix.coeff(p,q)),
numext::real(matrix.coeff(q,p)), numext::real(matrix.coeff(q,q));
@@ -428,9 +431,11 @@ void real_2x2_jacobi_svd(const MatrixType& matrix, Index p, Index q,
}
else
{
RealScalar u = d / t;
rot1.c() = RealScalar(1) / sqrt(RealScalar(1) + numext::abs2(u));
rot1.s() = rot1.c() * u;
RealScalar t2d2 = numext::hypot(t,d);
rot1.c() = abs(t)/t2d2;
rot1.s() = d/t2d2;
if(t<RealScalar(0))
rot1.s() = -rot1.s();
}
m.applyOnTheLeft(0,1,rot1);
j_right->makeJacobi(m,0,1);
@@ -831,6 +836,11 @@ JacobiSVD<MatrixType, QRPreconditioner>::compute(const MatrixType& matrix, unsig
if(m_computeFullV) m_matrixV.setIdentity(m_cols,m_cols);
if(m_computeThinV) m_matrixV.setIdentity(m_cols, m_diagSize);
}
// Scaling factor to reduce over/under-flows
RealScalar scale = m_workMatrix.cwiseAbs().maxCoeff();
if(scale==RealScalar(0)) scale = RealScalar(1);
m_workMatrix /= scale;
/*** step 2. The main Jacobi SVD iteration. ***/
@@ -900,6 +910,8 @@ JacobiSVD<MatrixType, QRPreconditioner>::compute(const MatrixType& matrix, unsig
if(computeV()) m_matrixV.col(pos).swap(m_matrixV.col(i));
}
}
m_singularValues *= scale;
m_isInitialized = true;
return *this;